v3.26.1
FAIR VALUE
 6 Months Ended
Jun. 30, 2026
Millburn Multi Markets Trading L P [Member]  
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]  
FAIR VALUE 3. FAIR VALUE

 

The Fair Value Measurement (Topic 820) of the Codification defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

 

Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

 

Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or

indirectly; and

 

Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

 

In determining fair value, the Master Fund separates its investments into two categories: cash instruments and derivative contracts.

 

Cash Instruments. The Master Fund’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations. The General Partner does not adjust the quoted price for such instruments, even in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price.

Cash equivalents includes investments in Dreyfus Treasury Securities Cash Management, a short term U.S. government securities money market fund, that is readily convertible to cash and has an original maturity of 90 days or less.

 

Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.

 

Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Master Fund may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

 

During the three and six months ended June 30, 2026 and 2025, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Master Fund’s investments by hierarchical level as of June 30, 2026 and December 31, 2025 in valuing the Master Fund’s investments at fair value. At June 30, 2026 and December 31, 2025, the Master Fund had no assets or liabilities in Level 3.


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Financial assets and liabilities at fair value as of June 30, 2026

Level 1

Level 2

Total

U.S. Treasury notes (1)

$

290,097,603 

$

-

$

290,097,603 

Short-Term Money Market Fund*

15,951,060 

-

15,951,060 

Exchange-traded futures contracts

Currencies

237,525 

-

237,525 

Energies

(78,123)

-

(78,123)

Grains

269,415 

-

269,415 

Interest rates

675,000 

-

675,000 

Livestock

35,230 

-

35,230 

Metals

(1,319,383)

-

(1,319,383)

Softs

(74,241)

-

(74,241)

Stock indices

(422,421)

-

(422,421)

Total exchange-traded futures contracts

(676,998)

-

(676,998)

OTC forward currency contracts

-

4,695,697 

4,695,697 

Total futures and forward currency contracts (2)

(676,998)

4,695,697 

4,018,699 

Total financial assets and liabilities at fair value

$

305,371,665 

$

4,695,697 

$

310,067,362

Per line item in Statements of Financial Condition

(1)

Investments in U.S. Treasury notes held in equity trading accounts as collateral

$

63,685,465

Investments in U.S. Treasury notes held in custody

226,412,138

Total investments in U.S. Treasury notes

$

290,097,603

(2)

Net unrealized appreciation on open futures and forward currency contracts

$

4,705,774

Net unrealized depreciation on open futures and forward currency contracts

(687,075)

Total net unrealized appreciation on open futures and forward currency contracts

$

4,018,699 

* The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.


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Financial assets and liabilities at fair value as of December 31, 2025

Level 1

Level 2

Total

U.S. Treasury notes (1)

$

269,140,010 

$

-

$

269,140,010 

Short-Term Money Market Fund*

14,891,998 

-

14,891,998 

Exchange-traded futures contracts

Currencies

15,923 

-

15,923 

Energies

4,164 

-

4,164 

Grains

637,598 

-

637,598 

Interest rates

141,192 

-

141,192 

Livestock

(32,050)

-

(32,050)

Metals

1,137,472 

-

1,137,472 

Softs

11,425 

-

11,425 

Stock indices

45,919 

-

45,919 

Total exchange-traded futures contracts

1,961,643 

-

1,961,643 

OTC forward currency contracts

-

1,388,542 

1,388,542 

Total futures and forward currency contracts (2)

1,961,643 

1,388,542 

3,350,185 

Total financial assets and liabilities at fair value

$

285,993,651

$

1,388,542 

$

287,382,193

Per line item in Statements of Financial Condition

(1)

Investments in U.S. Treasury notes held in equity trading accounts as collateral

$

51,974,100

Investments in U.S. Treasury notes

217,165,910

Total investments in U.S. Treasury notes

$

269,140,010

(2)

Net unrealized appreciation on open futures and forward currency contracts

$

3,615,361

Net unrealized depreciation on open futures and forward currency contracts

(265,176)

Total net unrealized appreciation on open futures and forward currency contracts

$

3,350,185 

* The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.


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